@article{article_781992, title={The Time-Varying Impact of Covid-19 on Stock Returns: Evidence on Developed Countries from a Bootstrap Rolling Window Causality Method}, journal={Ekonomi Politika ve Finans Araştırmaları Dergisi}, volume={5}, pages={1–12}, year={2020}, DOI={10.30784/epfad.781992}, author={Şimşek, Türker and Özkan, Oktay}, keywords={Stock Return, COVID-19, Pandemic, Kao Panel Cointegration, Bootstrap Rolling Window Causality}, abstract={This study examines the time-varying impact of the Novel Coronavirus (COVID-19) on stock returns by employing the bootstrap rolling window causality test. For this purpose, we use the daily data of COVID-19 confirmed cases and stock returns of six most hard-hit developed countries from the COVID-19 pandemic, namely France, Germany, Italy, Spain, the United Kingdom, and the United States. Before investigating the time-varying impact of COVID-19 on stock returns, we first examine the long-run relationship between COVID-19 confirmed cases and stock returns with the Kao panel cointegration method and we find that there exists a long-run relationship between variables. The bootstrap rolling window causality test results show that confirmed cases of COVID-19 have a time-varying impact on stock returns for each country. We also find that among the six developed countries in this study, the impact of daily COVID-19 confirmed cases on stock returns is the least in Germany, while it is the most in Italy. These results are thought to provide important information to market participants.}, number={Özel Sayı}, publisher={Economic and Financial Research Association}